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Stochastic Control Theory
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This book provides an introduction to stochastic controls, via the method of dynamic programming, formulated by nonlinear semigroup. The dynamic programming principle, originated by R. Bellman in 1950s, is known as the two stage optimization procedure and gives a powerful tool to analyze stochastic control problems. Through the dependence of value function on its terminal cost function, we construct a nonlinear two parameter semigroup which formulates the dynamic programming principle and whose generator provides Hamilton--Jacobi--Bellman equation. Here we mainly concerned with finite time horizon stochastic controls. But we also apply the semigroup approach to control-stopping problems and stochastic differential games together with examples in financial market models. This book is organized as follows. Chapters 1--4 deal with completely observable finite dimensional controlled diffusions. Chapters 5 and 6 are concerned with Hilbert space valued stochastic processes, related to partially observable control problems.
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